Contour map of estimation error for Expected Shortfall

Published 22 Feb 2015 in q-fin.RM and q-fin.PM | (1502.06217v1)

Abstract: The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given confidence level and a given estimation error.

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